| Summary: | 碩士 === 東海大學 === 財務金融學系 === 97 === This paper applies smooth transition regressive model to describe time-varing basis convergence rate based on the bivariate GJR-GARCH and bivariate FI-GJR-GARCH model with maturity effect, and exams the maturity effect and long memory of volatility in the stock index spot and futures market and the foreign exchange spot and futures market. Apply to the stock markets including CME S&P 500 stock index spot and futures, EUREX DAX stock index spot and futures and OSE Nikkei 225 stock index spot and futures and the foreign exchange markets including CME Euro to US dollar, CME pound sterling to US dollar, CME Japan’s yen to US dollar spot and futures, and compare the different characters and structures markets’ estimation. The empirical results show that the goodness-of-fit test favors the time-varing basis convergence rate model and FI-GAR-GARCH model over more the others and the model has the best hedging performance in ten-day, twenty-day and thirty-day hedging period. Relative to the stock market, the rate of basis convergence in the foreign exchange market is faster and the transition rate of basis convergence is slower. It implies that the maturity risk of foreign exchange market with asymmetric information makes investors have more motives to cover or rollover the futures contract and the government interference makes the foreign exchange market have the higher heterogeneity of investors’ transaction cost.
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